MEMX achieves strong growth in market share and market quality in 2021
Highlights & Recent Developments
- MEMX’s monthly market share increased every month in 2021, beginning at 0.6% in January and ending at 4.2% in December
- A new volume record of $17.8 billion notional value per day was set in December, including a new daily record of $26.9 billion on December 3rd
- MEMX ranked fourth among US exchanges in quote quality based on time and size at the NBBO
- Markout data in the fourth quarter showed that liquidity adders generally had better experiences on MEMX versus other maker/taker exchanges
MEMX began the year with a 0.6% market share in January, which grew to 4.2% in December. Exchange market share (excluding off-exchange volume) increased from 1.2% in January to 7.2% in December.
Volume & Diversity of Liquidity
Despite the seasonal slowdown in December, MEMX hit a new high of $17.8 billion notional value per day for the month. On December 3rd, MEMX set new average daily volume records of $26.9 billion notional value and 657 million shares.
MEMX market quality steadily improved over the course of the year as membership grew and our Designated Liquidity Incentive program gained traction.
Today, MEMX ranks fourth among US exchanges in both quote quality, based on size and time at the NBBO, and NBBO setting. MEMX quoted at least 50% of the time on one side of the NBBO—in well over 3,000 securities in December (Chart 3).
MEMX also experienced significant growth in both average share size displayed (Chart 4) and percent of time setting a new NBBO during the year (Chart 5).
Data on realized spreads (trade-to-mid markouts) in the fourth quarter of 2021 shows MEMX compared favorably to the largest maker/taker exchanges. Liquidity adders generally experienced a smaller loss at MEMX than at other large exchange peers looking 100 milliseconds out.
Source: Clearpool Venue Analysis. Realized spread (trade-to-mid markouts) captures the short-term execution cost of the price changing adversely against liquidity providers by measuring the change in the NBBO midpoint immediately after the trade as a percentage of the quoted spread. A positive number indicates a profit and a negative number a loss. The data does not reflect exchange rebates paid to liquidity adders. Clearpool is the brand name for the Electronic Trading Technology Platform of BMO Financial Group.